Recent studies have implicated brain‐derived neurotrophic factor (BDNF) in the pathophysiology of depression and in the activities of antidepressant drugs. Serum BDNF levels are lower in depressed patients and increase in response to antidepressant medications; however, no studies have examined the association between plasma concentrations of antidepressant drugs and plasma BDNF levels. We assessed plasma BDNF levels and paroxetine concentrations in 45 patients with major depression who were being treated with paroxetine. Plasma samples were collected between 10:00 h and 12:00 h at baseline and after 1, 2 and 6 weeks of treatment. The BDNF level and paroxetine concentration of each sample were measured via enzyme immunoassay and high‐performance liquid chromatography, respectively. Plasma BDNF levels increased after 2 and 6 weeks of paroxetine treatment. Plasma BDNF levels were significantly lower in men than in women. Changes in plasma BDNF level were correlated with plasma drug concentration after 2 (r = 0.309, p < 0.05) and 6 weeks (r = 0.329, p < 0.05) but not correlated with plasma drug concentration after 1 week (r = 0.284, ns). Multiple regression analysis confirmed that this change was only significantly correlated with plasma paroxetine concentration after 2 (standardised beta = 0.343, p < 0.05) and 6 weeks (standardised beta = 0.375, p < 0.05). These results suggest that paroxetine treatment increases plasma BDNF levels and that plasma paroxetine levels play an important role in changes in plasma BDNF levels.